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Pricing Bond Future Option

Name: Pricing Bond Future Option
Creator: Xiao, David
Keywords: Bond future option, bond future, conversion factor, cheap to delivery, forward bond price, Black Scholes, binomial tree.

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 23 Jul 2020 English Publisher:Zenodo

Authors: Xiao, David;

doi: 10.5281/zenodo.3958051 , 10.5281/zenodo.3958050 , 10.5281/zenodo.5765015

Pricing Bond Future Option

- Summary
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- Metrics

Abstract

A bond future option is an option contract that gives the holder the right but not the obligation to buy or sell a bond future at a predetermined price. The writer/seller receives a premium from the buyer for undertaking this obligation. Options are leveraged instruments that allow the owner to control a large amount of the underlying asset with a smaller amount of money. Bond future options offer significant advantages for reducing costs, enhancing returns and managing risk. They could be European style or American style. This presentation provides an overview of bond future option product and valuation.

https://ia601502.us.archive.org/19/items/fi-bond-future-option-12/FiBondFutureOption-12.pdf

Keywords

Bond future option, bond future, conversion factor, cheap to delivery, forward bond price, Black Scholes, binomial tree.

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